Global Research Limited

WEEKLY
DERIVATIVES
REPORT
27th Dec 2010 - 01st Jan 2011

Volatility Lessens - Nifty Manages to Close above the 6K !

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 Derivatives
27th Dec 2010 - 01st Jan 2011

RESEARCH

Derivative Wrap - Nifty Sentiment Indicator Nifty

Particulars 24th Dec. 2010 16th Dec. 2010 %Change

Spot Nifty 6011.60 5948.75 +1.05

Nifty Futures (Dec) 6037.20 5966.80 +1.18

Nifty CoC (%) +26.31 +7.91 +232.61

Open Interest 28664600 26229700 +9.28

Volume 339486 501085 -32.25

Last week the Nifty Index ended with gains of more than a percent at
6011.60 mark. On the derivatives front we have seen that the Nifty
Futures prices surged along with an overall addition of open interest
and increase in the cost of carry, this is an indication of longs being
accumulated at lower levels. For the coming week immediate resistance
for Nifty is seen at 6045/6070 mark, sustenance above the 6070 mark
decisively can continue the upward march in it and in that case the next
resistance is seen at 6145/6180 mark. On the downside support is seen
at 5900/5850 mark.

Derivative Wrap - Bank Nifty Sentiment Indicator Bank Nifty

Particulars 24th Dec. 2010 16th Dec. 2010 %Change

Spot Bank Nifty 11477.05 11424.15 +0.46

Bank Nifty Futures (Dec) 11533.85 11473.75 +0.52

Bank Nifty CoC (%) +30.10 +11.32 +165.90

Open Interest 1597075 1379850 +15.74

Volume 45484 109287 -58.38

The Bank Nifty Index last week closed almost flat at 11477.05. On the
derivatives front we have seen that the Bank Nifty Futures prices have
ended with nominal gains along with an overall addition of open
interest and increase in the cost of carry, this is an indication of some
longs being built in the Index at lower levels. For the coming week as
mentioned last week also, the Bank Nifty Index would continue to face
resistance at its 11700-11900 band whereas on the downside support
continues to exist at 11147/10543 levels.

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 Derivatives
27th Dec 2010 - 01st Jan 2011

RESEARCH

Derivative Wrap - CNX IT Sentiment Indicator CNX IT

Particulars 24th Dec. 2010 16th Dec. 2010 %Change

Spot CNX IT 7353.65 7211.80 +1.97

CNX IT Futures (Dec) 7370.60 7232.05 +1.92

CNX IT CoC (%) +14.02 +7.32 +91.53

Open Interest 31400 23450 +33.90

Volume 262 352 -25.57

The CNX IT Index last week continued its outperformance and ended
with gains of nearly 2% at 7353.65. On the derivatives front we have
seen that the CNX IT futures prices ended with gains along with overall
addition of open interest and increase in the cost of carry, this is an
indication of longs being built at lower levels. For the coming week
resistance for the index continues to exist at 7400/7450 mark whereas
on the downside support is seen at 7255/7170/7135 levels.

Options Snap
From the OI Concentration (Jan. Series)
we can see that the maximum addition of
open interest on the call options front is
existent at strike price of 6100-6300
indicating this range to act as immediate
resistance on the upside whereas on the
put options front addition of open interest
is seen at strike price of 5800 indicating it
as the strong support on the downside.

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 Derivatives
27th Dec 2010 - 01st Jan 2011

RESEARCH

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